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Time Series MT 2.1
What method of n-dimensional interpolation are available in Gauss? To give you an idea of the problem, I am trying to speed up a user written program for value function iteration (iteration to convergence of a function on a grid) by interpolating the function between all the grid points for precision.
The highest dimensional interpolation we have is the 2-dimenstional spline. The appropriate method for a multi-dimensional interpolation would be nearest-neighbor interpolation. GAUSS doesn’t have a nearest-neighbor method. One solution would be to compile a public domain version in C, C++, or C#, and call it through GAUSS’ foreign language interface.